Package org.drip.oms.indifference

Class UtilityExpectationOptimizationRun

java.lang.Object
org.drip.oms.indifference.UtilityExpectationOptimizationRun
Direct Known Subclasses:
ClaimsUtilityExpectationInferenceRun
public class UtilityExpectationOptimizationRun
extends java.lang.Object
UtilityExpectationOptimizationRun holds the Results of the Optimal Expectation Run of the Agent Utility Function. The References are:

  • Birge, J. R. (2008): Financial Engineering Elsevier Amsterdam Netherlands
  • Carmona, R. (2009): Indifference Pricing: Theory and Applications Princeton University Press Princeton NJ
  • Vassilis, P. (2005): Slow and Fast Markets Journal of Economics and Business 57 (6) 576-593
  • Weiss, D. (2006): After the Trade is Made: Processing Securities Transactions Portfolio Publishing London UK
  • Wikipedia (2021): Indifference Price https://en.wikipedia.org/wiki/Indifference_price


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    UtilityExpectationOptimizationRun​(double optimalValue)
    UtilityExpectationOptimizationRun Constructor

  • Method Summary

    Modifier and Type Method Description
    double optimalValue()
    Retrieve the Optimal Value of the Utility Expectation Optimization Run

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • UtilityExpectationOptimizationRun

      public UtilityExpectationOptimizationRun​(double optimalValue) throws java.lang.Exception
      UtilityExpectationOptimizationRun Constructor
      Parameters:
      optimalValue - Optimal Value of the Utility Expectation Optimization Run
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • optimalValue

      public double optimalValue()
      Retrieve the Optimal Value of the Utility Expectation Optimization Run
      Returns:
      Optimal Value of the Utility Expectation Optimization Run